This occurred to me once today and once about two weeks ago on fawiki, so I thought I should report it. I went to a page (today, it was an article, last time it was a special page) and noticed that I have a new message (yellow banner). I opened a new browser tab and went to may talk page. I refreshed the first page, and the yellow banner did not go away. I refreshed a few times (knowing that there is a PHP job that would have to be run to update the Notification status, etc.) and the number on the Notifications was decremented by one, but the yellow banner stayed there. It only went away when I forced a purge on that page.
As displayed on the screenshot, there is no unread notifications. But the warning of new messages remains (I've removed the ugly orange background on my volunteer account).